Vigilant Asset Allocation Tests
Keith Berry
January 4, 2019
TODO
X Calculate 30 day volatility and add plots of it
Need to try with B = 2 as well and with leverage. Basic leverage and then some type of volatility based leverage
Try using the DAA canary portfolio with G4
Try using longer term momentum to pick which Risk On Assets to prevent so much churn…. (3+6+12)? Or 12 months? This looks like it might work, plot the values, so we can inspect, only switch assets when we clearly need to.
Same with Risk Off?
Basic Vigilant Asset Allocation test
First version is the model exactly as described on TrendExplorer this is the VAA.G4.T1.B1 model.
## Warning in prices1[trade] <- iif(is.na(execution.price[trade]),
## prices1[trade], : number of items to replace is not a multiple of
## replacement length## Latest weights :
## VOO VEA BND VWO LQD TLT SHY IEF
## 2019-01-04 0 0 0 0 0 0 0 100
##
## Performance summary :
## CAGR Best Worst
## 16.6 17.9 -8.5 | System | Trade | Period | |||
|---|---|---|---|---|---|
| Period | Apr1996 - Jan2019 | Win.Percent | 70.9 | Win.Percent.Day | 67.5 |
| Cagr | 16.58 | Avg.Trade | 1.4 | Best.Day | 17.9 |
| Sharpe | 1.35 | Avg.Win | 2.7 | Worst.Day | -8.5 |
| DVR | 1.25 | Avg.Loss | -1.9 | Win.Percent.Month | 67.5 |
| Volatility | 11.91 | Best.Trade | 17.89 | Best.Month | 17.9 |
| MaxDD | -8.53 | Worst.Trade | -8.53 | Worst.Month | -8.5 |
| AvgDD | -2.8 | WinLoss.Ratio | 1.48 | Win.Percent.Year | 95.8 |
| VaR | -2.99 | Avg.Len | 1 | Best.Year | 54.1 |
| CVaR | -5.36 | Num.Trades | 261 | Worst.Year | 0.2 |
| Exposure | 95.26 | ||||
| Roll.TwelveM | 97.7011494252874 |
## Jan Feb Mar Apr May Jun Jul Aug Sep Oct
## 1996 " NA" " NA" " NA" " NA" " 0.0" " 0.0" " 0.0" " 0.0" " 0.0" " 0.0"
## 1997 " 0.0" " 0.0" " 0.0" " 0.0" " 1.0" " 4.5" " 8.0" "-5.6" " 0.8" "-3.4"
## 1998 " 1.2" "-0.3" " 5.1" " 1.0" "-1.7" " 1.4" "-0.7" " 3.2" " 3.6" "-0.8"
## 1999 " 4.2" "-3.7" " 0.7" "15.4" "-4.2" " 0.2" " 0.1" " 0.1" " 0.8" " 0.3"
## 2000 "-0.2" " 0.8" " 0.7" "-3.0" " 0.3" " 1.3" " 0.9" " 1.5" "-5.3" " 0.9"
## 2001 " 1.3" " 1.2" "-0.1" "-1.2" " 1.6" " 0.5" " 3.9" " 1.8" "-0.9" " 2.2"
## 2002 " 2.9" " 1.2" "-3.2" " 1.6" " 1.0" " 1.7" " 2.4" " 2.5" " 3.9" "-1.3"
## 2003 "-0.8" " 2.0" "-0.4" " 2.4" " 6.2" " 5.9" " 7.0" " 0.0" " 4.5" " 9.1"
## 2004 " 3.1" " 4.2" " 0.4" "-7.9" " 0.0" " 0.0" " 0.3" " 3.1" " 5.6" " 2.3"
## 2005 "-0.1" " 8.9" "-6.8" " 0.5" " 1.8" " 3.5" " 7.0" " 1.5" " 8.2" "-0.1"
## 2006 "11.6" "-2.1" " 1.2" " 0.2" " 0.2" " 0.2" " 0.7" " 2.5" " 0.2" " 3.3"
## 2007 " 0.1" "-2.3" " 2.8" " 3.8" " 3.1" " 0.5" " 0.9" " 2.3" " 9.8" "13.0"
## 2008 " 3.4" " 1.2" " 1.3" "-2.4" " 1.8" " 0.2" " 0.7" " 1.5" "-0.1" " 1.1"
## 2009 "-1.8" "-5.2" " 3.3" "-2.7" "17.9" "-2.5" "10.9" "-0.7" " 3.9" "-2.4"
## 2010 " 1.2" " 0.5" " 8.2" "-0.2" "-8.0" " 3.0" " 0.9" "-2.6" " 0.0" " 3.1"
## 2011 " 0.1" " 3.5" "-2.5" " 3.4" "-2.7" "-1.7" "-2.4" " 4.7" " 2.2" "-1.3"
## 2012 " 2.1" " 5.4" " 3.3" "-0.6" " 2.9" "-0.4" " 1.2" "-0.1" " 1.1" "-0.6"
## 2013 "-1.3" " 0.1" " 3.6" " 1.5" "-3.0" "-0.1" " 0.2" "-0.1" " 0.2" " 3.2"
## 2014 " 1.9" " 1.1" "-0.4" " 0.7" " 2.3" " 3.2" " 1.4" " 3.8" "-7.2" " 0.3"
## 2015 " 4.3" "-2.5" " 0.2" "-0.6" " 0.0" " 0.0" " 0.0" " 0.1" " 1.6" "-0.6"
## 2016 " 0.7" " 1.5" "-0.1" " 1.0" "-3.2" " 3.1" " 1.3" " 0.8" " 2.0" " 0.3"
## 2017 " 0.1" " 0.0" " 0.1" " 0.2" " 3.4" " 0.6" " 2.9" " 3.0" "-0.5" " 1.8"
## 2018 " 8.6" "-0.1" " 0.2" "-0.2" " 0.4" " 0.2" "-0.1" " 0.0" "-1.2" "-2.0"
## 2019 " 0.2" " NA" " NA" " NA" " NA" " NA" " NA" " NA" " NA" " NA"
## Avg " 1.9" " 0.7" " 0.8" " 0.6" " 0.9" " 1.1" " 2.1" " 1.0" " 1.5" " 1.2"
## Nov Dec Year MaxDD
## 1996 " 0.0" " 0.0" " 0.0" " 0.0"
## 1997 " 0.7" " 1.7" " 7.1" "-8.1"
## 1998 " 6.1" " 5.8" "26.2" "-1.7"
## 1999 " 2.0" "14.3" "32.4" "-4.2"
## 2000 " 2.2" " 2.4" " 2.1" "-5.3"
## 2001 "-2.2" "-0.3" " 7.9" "-2.5"
## 2002 "-2.1" "-2.6" " 8.0" "-5.9"
## 2003 " 1.1" " 7.8" "54.1" "-0.8"
## 2004 "10.2" " 5.3" "28.7" "-7.9"
## 2005 " 0.4" " 6.5" "34.8" "-6.8"
## 2006 " 7.3" " 4.0" "32.6" "-2.1"
## 2007 "-8.5" " 0.1" "26.7" "-8.5"
## 2008 " 1.1" " 5.2" "15.9" "-2.4"
## 2009 " 7.2" " 3.1" "32.8" "-6.9"
## 2010 "-2.8" " 6.9" " 9.7" "-8.2"
## 2011 "-0.3" " 2.0" " 4.7" "-6.6"
## 2012 " 2.7" " 4.2" "23.3" "-0.6"
## 2013 " 3.0" " 0.2" " 7.6" "-3.1"
## 2014 " 1.3" " 0.1" " 8.5" "-7.2"
## 2015 "-0.2" "-1.1" " 1.2" "-3.0"
## 2016 "-0.5" " 0.1" " 7.0" "-3.2"
## 2017 "-0.3" " 1.3" "13.3" "-0.5"
## 2018 " 0.4" " 2.8" " 8.9" "-3.3"
## 2019 " NA" " NA" " 0.2" " 0.0"
## Avg " 1.2" " 3.0" "16.4" "-4.1"| symbol | weight | entry.date | exit.date | nhold | entry.price | exit.price | return | |
|---|---|---|---|---|---|---|---|---|
| [238,] | SHY | 100 | 2017-01-31 | 2017-02-28 | 28 | 82.29 | 82.32 | 0.04 |
| [239,] | VOO | 100 | 2017-02-28 | 2017-03-31 | 31 | 208.93 | 209.21 | 0.13 |
| [240,] | SHY | 100 | 2017-03-31 | 2017-04-28 | 28 | 82.37 | 82.52 | 0.19 |
| [241,] | VEA | 100 | 2017-04-28 | 2017-05-31 | 33 | 37.99 | 39.28 | 3.41 |
| [242,] | VEA | 100 | 2017-05-31 | 2017-06-30 | 30 | 39.28 | 39.53 | 0.64 |
| [243,] | VEA | 100 | 2017-06-30 | 2017-07-31 | 31 | 39.53 | 40.67 | 2.88 |
| [244,] | VWO | 100 | 2017-07-31 | 2017-08-31 | 31 | 41.19 | 42.43 | 3 |
| [245,] | VWO | 100 | 2017-08-31 | 2017-09-29 | 29 | 42.43 | 42.22 | -0.5 |
| [246,] | VEA | 100 | 2017-09-29 | 2017-10-31 | 32 | 41.7 | 42.44 | 1.77 |
| [247,] | VWO | 100 | 2017-10-31 | 2017-11-30 | 30 | 43.25 | 43.1 | -0.34 |
| [248,] | VOO | 100 | 2017-11-30 | 2017-12-29 | 29 | 237.59 | 240.64 | 1.28 |
| [249,] | VWO | 100 | 2017-12-29 | 2018-01-31 | 33 | 44.7 | 48.52 | 8.56 |
| [250,] | SHY | 100 | 2018-01-31 | 2018-02-28 | 28 | 82.18 | 82.1 | -0.1 |
| [251,] | SHY | 100 | 2018-02-28 | 2018-03-29 | 29 | 82.1 | 82.3 | 0.25 |
| [252,] | SHY | 100 | 2018-03-29 | 2018-04-30 | 32 | 82.3 | 82.11 | -0.23 |
| [253,] | SHY | 100 | 2018-04-30 | 2018-05-31 | 31 | 82.11 | 82.39 | 0.35 |
| [254,] | IEF | 100 | 2018-05-31 | 2018-06-29 | 29 | 100.87 | 101.07 | 0.2 |
| [255,] | SHY | 100 | 2018-06-29 | 2018-07-31 | 32 | 82.43 | 82.38 | -0.06 |
| [256,] | LQD | 100 | 2018-07-31 | 2018-08-31 | 31 | 113.62 | 113.64 | 0.02 |
| [257,] | IEF | 100 | 2018-08-31 | 2018-09-28 | 28 | 101.56 | 100.33 | -1.21 |
| [258,] | LQD | 100 | 2018-09-28 | 2018-10-31 | 33 | 113.48 | 111.16 | -2.05 |
| [259,] | SHY | 100 | 2018-10-31 | 2018-11-30 | 30 | 82.67 | 82.99 | 0.38 |
| [260,] | IEF | 100 | 2018-11-30 | 2018-12-31 | 31 | 101.36 | 104.2 | 2.8 |
| [261,] | IEF | 100 | 2018-12-31 | 2019-01-04 | 4 | 104.2 | 104.4 | 0.19 |
Now with some leverage!!
## Warning in prices1[trade] <- iif(is.na(execution.price[trade]),
## prices1[trade], : number of items to replace is not a multiple of
## replacement length## Latest weights :
## VOO VEA BND VWO LQD TLT SHY IEF
## 2019-01-04 0 0 0 0 0 0 0 200
##
## Performance summary :
## CAGR Best Worst
## 34 35.8 -17.1 | System | Trade | Period | |||
|---|---|---|---|---|---|
| Period | Apr1997 - Jan2019 | Win.Percent | 70.9 | Win.Percent.Day | 67.5 |
| Cagr | 35.77 | Avg.Trade | 2.8 | Best.Day | 35.8 |
| Sharpe | 1.35 | Avg.Win | 5.5 | Worst.Day | -17.1 |
| DVR | 1.11 | Avg.Loss | -3.7 | Win.Percent.Month | 70.6 |
| Volatility | 23.81 | Best.Trade | 35.78 | Best.Month | 35.8 |
| MaxDD | -17.05 | Worst.Trade | -17.05 | Worst.Month | -17.1 |
| AvgDD | -5.58 | WinLoss.Ratio | 1.48 | Win.Percent.Year | 95.7 |
| VaR | -5.97 | Avg.Len | 1 | Best.Year | 131.4 |
| CVaR | -10.73 | Num.Trades | 261 | Worst.Year | 0.4 |
| Exposure | 95.26 | ||||
| Roll.TwelveM | 97.2 |
## Jan Feb Mar Apr May Jun Jul Aug
## 1997 " NA" " NA" " NA" " NA" " 1.9" " 8.9" " 15.9" "-11.2"
## 1998 " 2.4" " -0.5" " 10.2" " 2.0" " -3.5" " 2.8" " -1.5" " 6.4"
## 1999 " 8.4" " -7.4" " 1.4" " 30.8" " -8.3" " 0.3" " 0.3" " 0.3"
## 2000 " -0.4" " 1.5" " 1.4" " -6.0" " 0.6" " 2.6" " 1.8" " 2.9"
## 2001 " 2.7" " 2.4" " -0.3" " -2.3" " 3.2" " 1.1" " 7.7" " 3.6"
## 2002 " 5.7" " 2.4" " -6.4" " 3.1" " 2.1" " 3.4" " 4.9" " 5.0"
## 2003 " -1.6" " 4.0" " -0.8" " 4.7" " 12.3" " 11.8" " 14.1" " -0.1"
## 2004 " 6.2" " 8.3" " 0.8" "-15.8" " 0.0" " 0.0" " 0.6" " 6.2"
## 2005 " -0.3" " 17.7" "-13.6" " 1.0" " 3.7" " 6.9" " 13.9" " 3.0"
## 2006 " 23.3" " -4.3" " 2.3" " 0.4" " 0.3" " 0.5" " 1.3" " 5.1"
## 2007 " 0.2" " -4.6" " 5.6" " 7.6" " 6.2" " 1.0" " 1.8" " 4.5"
## 2008 " 6.7" " 2.5" " 2.7" " -4.8" " 3.6" " 0.5" " 1.4" " 3.1"
## 2009 " -3.6" "-10.4" " 6.6" " -5.5" " 35.8" " -4.9" " 21.8" " -1.4"
## 2010 " 2.5" " 1.0" " 16.4" " -0.4" "-16.0" " 6.1" " 1.8" " -5.1"
## 2011 " 0.3" " 6.9" " -5.0" " 6.7" " -5.4" " -3.4" " -4.8" " 9.3"
## 2012 " 4.3" " 10.9" " 6.6" " -1.3" " 5.7" " -0.8" " 2.4" " -0.1"
## 2013 " -2.6" " 0.1" " 7.2" " 3.1" " -5.9" " -0.2" " 0.3" " -0.2"
## 2014 " 3.8" " 2.3" " -0.7" " 1.4" " 4.6" " 6.3" " 2.7" " 7.7"
## 2015 " 8.6" " -4.9" " 0.4" " -1.3" " 0.1" " 0.1" " 0.1" " 0.2"
## 2016 " 1.3" " 3.0" " -0.1" " 2.0" " -6.5" " 6.2" " 2.6" " 1.6"
## 2017 " 0.2" " 0.1" " 0.3" " 0.4" " 6.8" " 1.3" " 5.8" " 6.0"
## 2018 " 17.1" " -0.2" " 0.5" " -0.5" " 0.7" " 0.4" " -0.1" " 0.0"
## 2019 " 0.4" " NA" " NA" " NA" " NA" " NA" " NA" " NA"
## Avg " 3.9" " 1.5" " 1.7" " 1.2" " 1.9" " 2.3" " 4.3" " 2.1"
## Sep Oct Nov Dec Year MaxDD
## 1997 " 1.6" " -6.7" " 1.3" " 3.3" " 13.3" "-15.9"
## 1998 " 7.3" " -1.5" " 12.1" " 11.6" " 57.5" " -3.5"
## 1999 " 1.7" " 0.5" " 4.0" " 28.6" " 68.5" " -8.3"
## 2000 "-10.6" " 1.8" " 4.3" " 4.8" " 3.7" "-10.6"
## 2001 " -1.9" " 4.4" " -4.5" " -0.5" " 16.0" " -5.0"
## 2002 " 7.7" " -2.5" " -4.2" " -5.3" " 15.9" "-11.5"
## 2003 " 9.1" " 18.2" " 2.2" " 15.6" "131.4" " -1.6"
## 2004 " 11.2" " 4.6" " 20.3" " 10.7" " 61.5" "-15.8"
## 2005 " 16.5" " -0.2" " 0.8" " 13.1" " 76.7" "-13.6"
## 2006 " 0.5" " 6.5" " 14.7" " 8.0" " 72.5" " -4.3"
## 2007 " 19.7" " 26.0" "-17.1" " 0.1" " 55.0" "-17.1"
## 2008 " -0.3" " 2.2" " 2.2" " 10.3" " 33.6" " -4.8"
## 2009 " 7.9" " -4.8" " 14.4" " 6.2" " 68.3" "-13.6"
## 2010 " 0.0" " 6.2" " -5.7" " 13.8" " 17.8" "-16.4"
## 2011 " 4.5" " -2.6" " -0.6" " 4.0" " 8.8" "-13.0"
## 2012 " 2.2" " -1.1" " 5.4" " 8.5" " 50.9" " -1.3"
## 2013 " 0.4" " 6.4" " 6.0" " 0.4" " 15.2" " -6.1"
## 2014 "-14.3" " 0.5" " 2.6" " 0.3" " 16.5" "-14.3"
## 2015 " 3.2" " -1.3" " -0.3" " -2.2" " 2.0" " -6.0"
## 2016 " 4.0" " 0.6" " -0.9" " 0.1" " 14.2" " -6.5"
## 2017 " -1.0" " 3.5" " -0.7" " 2.6" " 27.8" " -1.0"
## 2018 " -2.4" " -4.1" " 0.8" " 5.6" " 17.6" " -6.5"
## 2019 " NA" " NA" " NA" " NA" " 0.4" " 0.0"
## Avg " 3.0" " 2.6" " 2.6" " 6.3" " 36.8" " -8.5"
| VOO | VEA | BND | VWO | LQD | TLT | SHY | IEF |
|---|---|---|---|---|---|---|---|
| 41.2519378 | 34.613736 | -4.01763103 | 55.5252547 | -2.0850810 | -9.2477249 | -1.7119029 | -9.8782270 |
| 1.4411161 | -6.129696 | -5.79442673 | 0.8325736 | -9.6170185 | -16.6506651 | -1.2242908 | -8.4276450 |
| -1.8040397 | 3.481770 | 0.26606960 | 11.4826221 | -1.3618059 | 5.4113494 | 0.3462167 | 0.2991361 |
| 0.5011327 | 4.629438 | -4.79170923 | -10.9361755 | -9.6270892 | -10.2148588 | -1.2249242 | -7.2419672 |
| 12.6806324 | -2.250500 | 1.90872524 | -8.7316456 | -0.5229469 | 7.7796226 | 1.3418315 | 2.1142964 |
| 10.7917823 | -6.443910 | -1.31090254 | -26.1263588 | -5.6410381 | 0.8941461 | 0.2724300 | -1.0280427 |
| 21.9618618 | 5.058749 | -0.03068122 | 4.1632189 | 4.1475849 | -3.9690240 | 0.1900515 | -1.8542549 |
| 26.2515496 | -6.074573 | 2.83082127 | -23.4719600 | 0.6413608 | 5.3073213 | 1.6653953 | 3.6709373 |
| 19.3806070 | 3.713579 | -1.95617672 | -12.2184784 | 0.1400336 | -13.7337617 | -0.1757335 | -5.5221441 |
| -20.2834946 | -42.434305 | -3.94243138 | -46.7686752 | -9.7675298 | -16.5195003 | 1.1823202 | -2.1307625 |
| 4.0609263 | -12.266966 | 0.67987603 | 3.1588462 | -5.5557763 | -1.7784432 | 2.0644143 | 3.6413353 |
| -44.6349654 | -40.213461 | 8.09367151 | -24.1795863 | 4.3604042 | 22.4684368 | 4.6658102 | 14.0645514 |
| -10.3992089 | -7.346528 | 5.07625789 | -0.5459969 | 1.8839990 | 12.0256450 | 2.3346532 | 7.7205628 |
| symbol | weight | entry.date | exit.date | nhold | entry.price | exit.price | return | |
|---|---|---|---|---|---|---|---|---|
| [249,] | VWO | 200 | 2017-12-29 | 2018-01-31 | 33 | 44.7 | 48.52 | 17.12 |
| [250,] | SHY | 200 | 2018-01-31 | 2018-02-28 | 28 | 82.18 | 82.1 | -0.2 |
| [251,] | SHY | 200 | 2018-02-28 | 2018-03-29 | 29 | 82.1 | 82.3 | 0.49 |
| [252,] | SHY | 200 | 2018-03-29 | 2018-04-30 | 32 | 82.3 | 82.11 | -0.47 |
| [253,] | SHY | 200 | 2018-04-30 | 2018-05-31 | 31 | 82.11 | 82.39 | 0.7 |
| [254,] | IEF | 200 | 2018-05-31 | 2018-06-29 | 29 | 100.87 | 101.07 | 0.39 |
| [255,] | SHY | 200 | 2018-06-29 | 2018-07-31 | 32 | 82.43 | 82.38 | -0.12 |
| [256,] | LQD | 200 | 2018-07-31 | 2018-08-31 | 31 | 113.62 | 113.64 | 0.04 |
| [257,] | IEF | 200 | 2018-08-31 | 2018-09-28 | 28 | 101.56 | 100.33 | -2.41 |
| [258,] | LQD | 200 | 2018-09-28 | 2018-10-31 | 33 | 113.48 | 111.16 | -4.1 |
| [259,] | SHY | 200 | 2018-10-31 | 2018-11-30 | 30 | 82.67 | 82.99 | 0.76 |
| [260,] | IEF | 200 | 2018-11-30 | 2018-12-31 | 31 | 101.36 | 104.2 | 5.61 |
| [261,] | IEF | 200 | 2018-12-31 | 2019-01-04 | 4 | 104.2 | 104.4 | 0.38 |
| System | Trade | Period | |||
|---|---|---|---|---|---|
| Period | Apr1997 - Jan2019 | Win.Percent | 70.9 | Win.Percent.Day | 67.5 |
| Cagr | 35.77 | Avg.Trade | 2.8 | Best.Day | 35.8 |
| Sharpe | 1.35 | Avg.Win | 5.5 | Worst.Day | -17.1 |
| DVR | 1.11 | Avg.Loss | -3.7 | Win.Percent.Month | 70.6 |
| Volatility | 23.81 | Best.Trade | 35.78 | Best.Month | 35.8 |
| MaxDD | -17.05 | Worst.Trade | -17.05 | Worst.Month | -17.1 |
| AvgDD | -5.58 | WinLoss.Ratio | 1.48 | Win.Percent.Year | 95.7 |
| VaR | -5.97 | Avg.Len | 1 | Best.Year | 131.4 |
| CVaR | -10.73 | Num.Trades | 261 | Worst.Year | 0.4 |
| Exposure | 95.26 | ||||
| Roll.TwelveM | 97.2 |
Now try the VAA G4 T2 B1 model
## Warning in prices1[trade] <- iif(is.na(execution.price[trade]),
## prices1[trade], : number of items to replace is not a multiple of
## replacement length## Latest weights :
## VOO VEA BND VWO LQD TLT SHY IEF
## 2019-01-04 0 0 0 0 0 0 0 100
##
## Performance summary :
## CAGR Best Worst
## 13.9 15.5 -8.6 | System | Trade | Period | |||
|---|---|---|---|---|---|
| Period | Apr1996 - Jan2019 | Win.Percent | 70.9 | Win.Percent.Day | 67.9 |
| Cagr | 13.93 | Avg.Trade | 0.8 | Best.Day | 15.5 |
| Sharpe | 1.32 | Avg.Win | 1.7 | Worst.Day | -8.6 |
| DVR | 1.23 | Avg.Loss | -1.3 | Win.Percent.Month | 67.9 |
| Volatility | 10.23 | Best.Trade | 8.94 | Best.Month | 15.5 |
| MaxDD | -12.21 | Worst.Trade | -5.2 | Worst.Month | -8.6 |
| AvgDD | -2.81 | WinLoss.Ratio | 1.29 | Win.Percent.Year | 91.7 |
| VaR | -3.11 | Avg.Len | 1 | Best.Year | 47.4 |
| CVaR | -5.13 | Num.Trades | 374 | Worst.Year | -0.3 |
| Exposure | 95.26 | ||||
| Roll.TwelveM | 97.3180076628352 |
## Jan Feb Mar Apr May Jun Jul Aug
## 1996 " NA" " NA" " NA" " NA" " 0.0" " 0.0" " 0.0" " 0.0"
## 1997 " 0.0" " 0.0" " 0.0" " 0.0" " 1.0" " 4.9" " 4.8" " -7.1"
## 1998 " 1.2" " -0.3" " 4.2" " 0.8" " -1.6" " 1.4" " -0.7" " 3.2"
## 1999 " 1.8" " -3.7" " 0.7" " 9.6" " -4.6" " 0.2" " 0.1" " 0.1"
## 2000 " -0.2" " 0.8" " 0.7" " -4.2" " 0.3" " 1.3" " -1.8" " 1.5"
## 2001 " 1.3" " 1.2" " -0.1" " -1.2" " -1.0" " 0.5" " 3.9" " 1.8"
## 2002 " 0.7" " 1.2" " -3.2" " 1.6" " 1.0" " 1.7" " 2.4" " 2.5"
## 2003 " -0.8" " 2.0" " -0.4" " 2.4" " 5.7" " 4.3" " 5.1" " 0.0"
## 2004 " 2.4" " 3.3" " 0.4" " -5.5" " 0.0" " 0.0" " 0.3" " 3.1"
## 2005 " -0.9" " 6.8" " -4.9" " 0.5" " 1.8" " 1.8" " 3.0" " 1.5"
## 2006 " 9.2" " -1.4" " 2.2" " 0.2" " 0.2" " 0.2" " 0.7" " 2.1"
## 2007 " 0.5" " -1.1" " 1.4" " 3.9" " 4.9" " 0.5" " 0.9" " 2.3"
## 2008 " 3.4" " 1.2" " 1.3" " -2.4" " 1.5" " 0.2" " 0.7" " 1.5"
## 2009 " -1.8" " -5.2" " 3.3" " -2.7" " 15.5" " -2.1" " 10.7" " 1.9"
## 2010 " 1.2" " 0.5" " 7.1" " 0.7" " -8.6" " 3.0" " 0.9" " -3.1"
## 2011 " 0.1" " 3.6" " -1.2" " 3.2" " -2.8" " -1.3" " -2.2" " 4.7"
## 2012 " 2.1" " 4.9" " 0.4" " -1.5" " 2.9" " -0.4" " 0.7" " -0.1"
## 2013 " -1.3" " 0.1" " 2.4" " 1.5" " -0.3" " -0.1" " 0.2" " -0.1"
## 2014 " 1.9" " 1.1" " 0.3" " 0.8" " 2.0" " 2.6" " 0.0" " 3.9"
## 2015 " 4.3" " -2.5" " 0.2" " -0.6" " 0.0" " 0.0" " 0.0" " 0.1"
## 2016 " 0.7" " 1.5" " -0.1" " 0.7" " -1.8" " 3.1" " 1.3" " 0.5"
## 2017 " 0.1" " 0.0" " 1.5" " 0.2" " 2.2" " 0.7" " 4.1" " 1.5"
## 2018 " 7.1" " -0.1" " 0.2" " -0.2" " 0.4" " 0.2" " -0.1" " 0.0"
## 2019 " 0.2" " NA" " NA" " NA" " NA" " NA" " NA" " NA"
## Avg " 1.4" " 0.6" " 0.7" " 0.3" " 0.8" " 1.0" " 1.5" " 0.9"
## Sep Oct Nov Dec Year MaxDD
## 1996 " 0.0" " 0.0" " 0.0" " 0.0" " 0.0" " 0.0"
## 1997 " 0.8" " -6.2" " 0.7" " 1.7" " -0.3" "-12.2"
## 1998 " 3.6" " -0.8" " 5.7" " 1.4" " 19.3" " -1.6"
## 1999 " 0.8" " 0.3" " 3.0" " 11.9" " 20.9" " -4.6"
## 2000 " -2.3" " 0.9" " 2.2" " 2.4" " 1.3" " -5.2"
## 2001 " -0.9" " 2.2" " -2.2" " -0.3" " 5.2" " -2.5"
## 2002 " 3.9" " -1.3" " -2.1" " -4.4" " 3.8" " -7.6"
## 2003 " 4.5" " 7.8" " 1.6" " 7.8" " 47.4" " -0.8"
## 2004 " 2.9" " 2.8" " 8.7" " 4.9" " 25.0" " -5.5"
## 2005 " 6.5" " -0.1" " 0.4" " 5.8" " 24.0" " -4.9"
## 2006 " 0.7" " 4.2" " 5.5" " 3.6" " 30.3" " -1.4"
## 2007 " 7.3" " 8.7" " -6.1" " 0.1" " 24.7" " -6.1"
## 2008 " -0.1" " 1.1" " 1.1" " 5.2" " 15.6" " -2.4"
## 2009 " 3.8" " -2.6" " 5.6" " 2.5" " 30.7" " -6.9"
## 2010 " 0.0" " 3.6" " -3.9" " 7.2" " 8.0" " -8.6"
## 2011 " 2.2" " -1.3" " -1.0" " 2.0" " 5.6" " -6.3"
## 2012 " 1.1" " -1.3" " 2.0" " 5.7" " 17.5" " -1.5"
## 2013 " 0.2" " 3.8" " 1.8" " 0.2" " 8.7" " -1.3"
## 2014 " -4.3" " 0.3" " 1.3" " 0.1" " 10.3" " -4.3"
## 2015 " 1.6" " -0.6" " -0.2" " -1.1" " 1.2" " -3.0"
## 2016 " 1.0" " -1.0" " -0.5" " 0.1" " 5.5" " -1.8"
## 2017 " 1.0" " 2.1" " 1.4" " 1.5" " 17.5" " 0.0"
## 2018 " -1.2" " -2.0" " 0.4" " 2.8" " 7.4" " -3.3"
## 2019 " NA" " NA" " NA" " NA" " 0.2" " 0.0"
## Avg " 1.4" " 0.9" " 1.1" " 2.6" " 13.7" " -3.8"
Now try the VAA G4 T3 B1 model
## Warning in prices1[trade] <- iif(is.na(execution.price[trade]),
## prices1[trade], : number of items to replace is not a multiple of
## replacement length## Latest weights :
## VOO VEA BND VWO LQD TLT SHY IEF
## 2019-01-04 0 0 0 0 0 0 0 100
##
## Performance summary :
## CAGR Best Worst
## 12.7 12.2 -9.8 | System | Trade | Period | |||
|---|---|---|---|---|---|
| Period | Apr1996 - Jan2019 | Win.Percent | 71.3 | Win.Percent.Day | 67.2 |
| Cagr | 12.73 | Avg.Trade | 0.6 | Best.Day | 12.2 |
| Sharpe | 1.34 | Avg.Win | 1.2 | Worst.Day | -9.8 |
| DVR | 1.24 | Avg.Loss | -1 | Win.Percent.Month | 67.2 |
| Volatility | 9.21 | Best.Trade | 5.96 | Best.Month | 12.2 |
| MaxDD | -12.4 | Worst.Trade | -5.2 | Worst.Month | -9.8 |
| AvgDD | -2.75 | WinLoss.Ratio | 1.2 | Win.Percent.Year | 87.5 |
| VaR | -3.09 | Avg.Len | 1 | Best.Year | 42.3 |
| CVaR | -4.71 | Num.Trades | 487 | Worst.Year | -2.3 |
| Exposure | 95.26 | ||||
| Roll.TwelveM | 94.2528735632184 |
## Jan Feb Mar Apr May Jun Jul Aug
## 1996 " NA" " NA" " NA" " NA" " 0.0" " 0.0" " 0.0" " 0.0"
## 1997 " 0.0" " 0.0" " 0.0" " 0.0" " 1.0" " 4.6" " 3.7" " -9.8"
## 1998 " 1.2" " -0.3" " 4.0" " 0.7" " -5.3" " 1.4" " -0.7" " 3.2"
## 1999 " 1.5" " -3.7" " 0.7" " 8.1" " -3.8" " 0.2" " 0.1" " 0.1"
## 2000 " -0.2" " 0.8" " 0.7" " -5.3" " 0.3" " 1.3" " -2.9" " 1.5"
## 2001 " 1.3" " 1.2" " -0.1" " -1.2" " -0.4" " 0.5" " 3.9" " 1.8"
## 2002 " -1.1" " 1.2" " -3.2" " 1.6" " 1.0" " 1.7" " 2.4" " 2.5"
## 2003 " -0.8" " 2.0" " -0.4" " 2.4" " 5.9" " 3.3" " 4.0" " 0.0"
## 2004 " 2.2" " 2.7" " -0.2" " -4.2" " 0.0" " 0.0" " 0.3" " 3.1"
## 2005 " -1.4" " 4.3" " -3.8" " 0.5" " 1.8" " 1.4" " 3.2" " 1.5"
## 2006 " 7.0" " -0.9" " 1.9" " 0.2" " 0.2" " 0.2" " 0.7" " 2.2"
## 2007 " 0.8" " -1.4" " 2.4" " 4.0" " 4.4" " 0.5" " 0.9" " 2.3"
## 2008 " 3.4" " 1.2" " 1.3" " -2.4" " 1.4" " 0.2" " 0.7" " 1.5"
## 2009 " -1.8" " -5.2" " 3.3" " -2.7" " 12.2" " -1.4" " 9.7" " 2.5"
## 2010 " 1.2" " 0.5" " 6.8" " -0.5" " -5.3" " 3.0" " 0.9" " -3.6"
## 2011 " 0.1" " 2.3" " 1.0" " 4.2" " -2.3" " -1.3" " -1.7" " 4.7"
## 2012 " 2.1" " 4.9" " 0.3" " -1.7" " 2.9" " -0.4" " 0.9" " -0.1"
## 2013 " -1.3" " 0.1" " 1.2" " 1.5" " -1.9" " -0.1" " 0.2" " -0.1"
## 2014 " 1.9" " 1.1" " 1.7" " 1.1" " 2.4" " 2.1" " -0.8" " 3.0"
## 2015 " 4.3" " -2.5" " 0.2" " -0.6" " 0.0" " 0.0" " 0.0" " 0.1"
## 2016 " 0.7" " 1.5" " -0.1" " 1.2" " -0.6" " 3.1" " 1.3" " 0.4"
## 2017 " 0.1" " 0.0" " 2.0" " 0.2" " 1.9" " 0.7" " 3.4" " 1.1"
## 2018 " 6.3" " -0.1" " 0.2" " -0.2" " 0.4" " 0.2" " -0.1" " 0.0"
## 2019 " 0.2" " NA" " NA" " NA" " NA" " NA" " NA" " NA"
## Avg " 1.2" " 0.4" " 0.9" " 0.3" " 0.7" " 0.9" " 1.3" " 0.8"
## Sep Oct Nov Dec Year MaxDD
## 1996 " 0.0" " 0.0" " 0.0" " 0.0" " 0.0" " 0.0"
## 1997 " 0.8" " -3.7" " 0.7" " 1.7" " -1.8" "-12.4"
## 1998 " 3.6" " -0.8" " 5.9" " 2.0" " 15.5" " -5.3"
## 1999 " 0.8" " 0.3" " 4.7" " 9.9" " 19.6" " -3.8"
## 2000 " -3.6" " 0.9" " 2.2" " 2.4" " -2.3" " -8.6"
## 2001 " -0.9" " 2.2" " -2.2" " -0.3" " 5.8" " -2.5"
## 2002 " 3.9" " -1.3" " -2.1" " -2.2" " 4.3" " -5.4"
## 2003 " 4.5" " 7.1" " 1.4" " 6.9" " 42.3" " -0.8"
## 2004 " 2.9" " 2.1" " 7.1" " 4.4" " 21.8" " -4.4"
## 2005 " 4.0" " -0.1" " 0.4" " 3.9" " 16.5" " -3.8"
## 2006 " 1.3" " 4.1" " 4.3" " 2.8" " 26.5" " -0.9"
## 2007 " 5.1" " 6.3" " -5.5" " 0.1" " 21.1" " -5.5"
## 2008 " -0.1" " 1.1" " 1.1" " 5.2" " 15.5" " -2.4"
## 2009 " 5.9" " -2.4" " 5.8" " 2.0" " 29.7" " -6.9"
## 2010 " 0.0" " 3.6" " -2.6" " 7.6" " 11.6" " -5.8"
## 2011 " 2.2" " -1.3" " -1.4" " 2.0" " 8.6" " -5.2"
## 2012 " 1.1" " -0.5" " 1.3" " 4.1" " 15.9" " -1.7"
## 2013 " 0.2" " 4.0" " 0.9" " 0.2" " 4.9" " -2.0"
## 2014 " -3.0" " 0.3" " 1.3" " 0.1" " 11.5" " -3.0"
## 2015 " 1.6" " -0.6" " -0.2" " -1.1" " 1.2" " -3.0"
## 2016 " 1.2" " -1.3" " -0.5" " 0.1" " 7.2" " -1.8"
## 2017 " 1.4" " 2.2" " 1.2" " 2.2" " 17.7" " 0.0"
## 2018 " -1.2" " -2.0" " 0.4" " 2.8" " 6.6" " -3.3"
## 2019 " NA" " NA" " NA" " NA" " 0.2" " 0.0"
## Avg " 1.4" " 0.9" " 1.1" " 2.5" " 12.5" " -3.7"
Now try with 6 month top asset VAA G4 T1 B1 model
## Warning in prices1[trade] <- iif(is.na(execution.price[trade]),
## prices1[trade], : number of items to replace is not a multiple of
## replacement length## Latest weights :
## VOO VEA BND VWO LQD TLT SHY IEF
## 2019-01-04 0 0 0 0 0 0 0 100
##
## Performance summary :
## CAGR Best Worst
## 15.1 17.9 -8.5 | System | Trade | Period | |||
|---|---|---|---|---|---|
| Period | Apr1996 - Jan2019 | Win.Percent | 71.6 | Win.Percent.Day | 68.2 |
| Cagr | 15.13 | Avg.Trade | 1.3 | Best.Day | 17.9 |
| Sharpe | 1.26 | Avg.Win | 2.5 | Worst.Day | -8.5 |
| DVR | 1.17 | Avg.Loss | -1.9 | Win.Percent.Month | 68.2 |
| Volatility | 11.7 | Best.Trade | 17.89 | Best.Month | 17.9 |
| MaxDD | -8.71 | Worst.Trade | -8.53 | Worst.Month | -8.5 |
| AvgDD | -2.89 | WinLoss.Ratio | 1.36 | Win.Percent.Year | 87.5 |
| VaR | -2.89 | Avg.Len | 1 | Best.Year | 48.6 |
| CVaR | -5.52 | Num.Trades | 261 | Worst.Year | -2.2 |
| Exposure | 95.26 | ||||
| Roll.TwelveM | 95.4022988505747 |
## Jan Feb Mar Apr May Jun Jul Aug Sep Oct
## 1996 " NA" " NA" " NA" " NA" " 0.0" " 0.0" " 0.0" " 0.0" " 0.0" " 0.0"
## 1997 " 0.0" " 0.0" " 0.0" " 0.0" " 0.7" " 4.5" " 8.0" "-5.6" " 2.5" "-3.4"
## 1998 " 1.2" "-0.3" " 5.1" " 1.0" "-1.7" " 1.4" "-0.7" " 1.0" " 3.6" "-0.8"
## 1999 " 4.2" "-3.1" " 0.7" "15.4" "-4.2" " 0.2" " 0.1" " 0.1" " 0.8" " 0.3"
## 2000 "-0.2" " 0.8" " 0.7" "-7.5" " 0.3" " 1.3" " 0.9" " 1.6" "-5.3" " 0.9"
## 2001 " 1.3" " 1.2" "-0.1" "-1.4" " 0.7" " 0.5" " 1.4" " 1.8" "-0.9" " 2.2"
## 2002 " 0.8" " 1.2" "-0.8" " 2.7" " 0.6" " 0.9" " 2.4" " 2.5" " 3.9" "-1.3"
## 2003 "-0.8" " 2.0" " 0.1" " 2.4" " 6.4" "-0.1" " 7.0" " 1.5" " 4.5" " 9.1"
## 2004 " 3.1" " 4.2" " 0.4" "-7.9" "-0.5" " 0.1" " 0.3" " 0.7" " 0.2" " 0.8"
## 2005 "-0.1" " 8.9" "-6.8" " 1.6" " 0.6" " 3.5" " 7.0" " 2.0" " 8.2" "-1.2"
## 2006 "11.6" "-2.1" " 1.2" " 0.2" " 0.2" " 0.2" " 0.7" " 2.5" " 0.2" " 3.3"
## 2007 " 0.1" "-2.3" " 4.3" " 3.8" " 6.7" " 0.5" " 0.9" " 2.3" " 9.8" "13.0"
## 2008 " 3.4" " 1.2" " 1.3" "-2.4" "-1.0" " 0.2" " 0.7" " 0.5" "-0.1" " 1.1"
## 2009 "-3.9" "-0.7" " 3.3" "-2.7" "17.9" "-2.5" "10.9" "-0.7" "10.0" "-2.4"
## 2010 " 1.2" " 0.5" " 8.2" " 1.6" "-8.0" " 3.0" " 0.9" "-2.6" " 0.0" " 3.1"
## 2011 " 0.0" " 3.5" " 0.0" " 2.9" "-1.2" "-1.2" "-2.1" " 4.7" " 2.2" "-1.3"
## 2012 " 0.9" " 0.0" " 3.3" "-0.6" " 0.8" " 0.9" " 1.2" "-0.1" " 1.1" "-0.1"
## 2013 "-1.3" " 0.1" " 1.2" " 0.1" "-3.0" "-0.1" " 0.2" "-0.1" " 0.2" " 3.2"
## 2014 " 1.9" " 1.1" " 0.9" " 0.7" " 2.3" " 2.1" "-1.4" " 3.8" "-7.2" " 1.5"
## 2015 " 4.3" "-2.5" " 0.9" "-0.6" "-0.4" "-1.6" " 0.0" " 0.0" " 0.3" "-0.6"
## 2016 " 3.3" " 1.5" "-0.1" " 0.4" " 0.0" " 3.1" " 1.3" " 0.8" " 2.0" " 0.3"
## 2017 " 0.1" " 0.0" " 0.1" " 0.2" " 1.4" " 0.6" " 5.3" " 3.0" "-0.5" " 1.8"
## 2018 " 8.6" "-2.2" " 0.2" "-0.2" " 0.4" " 0.0" "-0.1" " 0.3" "-1.2" " 0.2"
## 2019 " 0.2" " NA" " NA" " NA" " NA" " NA" " NA" " NA" " NA" " NA"
## Avg " 1.7" " 0.6" " 1.1" " 0.4" " 0.8" " 0.8" " 2.0" " 0.9" " 1.5" " 1.3"
## Nov Dec Year MaxDD
## 1996 " 0.0" " 0.0" " 0.0" " 0.0"
## 1997 " 0.7" " 1.7" " 8.6" "-6.5"
## 1998 " 0.5" " 5.8" "17.0" "-1.7"
## 1999 " 4.1" " 9.4" "30.1" "-4.2"
## 2000 " 2.2" " 2.6" "-2.2" "-8.7"
## 2001 "-2.2" "-1.3" " 3.2" "-3.5"
## 2002 "-2.1" " 2.3" "13.7" "-3.3"
## 2003 " 1.1" " 7.8" "48.6" "-0.8"
## 2004 "10.2" " 5.3" "17.1" "-8.4"
## 2005 " 0.4" " 6.5" "33.7" "-6.8"
## 2006 " 1.9" " 4.0" "25.9" "-2.1"
## 2007 "-8.5" " 0.1" "32.9" "-8.5"
## 2008 " 1.1" " 5.2" "11.5" "-3.4"
## 2009 " 7.2" " 3.1" "44.0" "-4.6"
## 2010 "-2.8" " 7.6" "12.3" "-8.0"
## 2011 "-0.1" " 2.0" " 9.7" "-4.4"
## 2012 " 0.1" " 4.2" "12.2" "-0.6"
## 2013 " 3.0" "-0.2" " 3.2" "-3.1"
## 2014 " 1.3" " 0.1" " 7.1" "-7.2"
## 2015 "-0.4" "-0.5" "-1.4" "-5.4"
## 2016 "-3.2" " 0.1" " 9.8" "-3.2"
## 2017 "-0.3" " 3.7" "16.4" "-0.5"
## 2018 " 0.4" " 0.8" " 7.0" "-2.7"
## 2019 " NA" " NA" " 0.2" " 0.0"
## Avg " 0.6" " 3.1" "15.0" "-4.1"| symbol | weight | entry.date | exit.date | nhold | entry.price | exit.price | return | |
|---|---|---|---|---|---|---|---|---|
| [249,] | VWO | 100 | 2017-12-29 | 2018-01-31 | 33 | 44.7 | 48.52 | 8.56 |
| [250,] | LQD | 100 | 2018-01-31 | 2018-02-28 | 28 | 115.82 | 113.23 | -2.24 |
| [251,] | SHY | 100 | 2018-02-28 | 2018-03-29 | 29 | 82.1 | 82.3 | 0.25 |
| [252,] | SHY | 100 | 2018-03-29 | 2018-04-30 | 32 | 82.3 | 82.11 | -0.23 |
| [253,] | SHY | 100 | 2018-04-30 | 2018-05-31 | 31 | 82.11 | 82.39 | 0.35 |
| [254,] | SHY | 100 | 2018-05-31 | 2018-06-29 | 29 | 82.39 | 82.43 | 0.04 |
| [255,] | SHY | 100 | 2018-06-29 | 2018-07-31 | 32 | 82.43 | 82.38 | -0.06 |
| [256,] | SHY | 100 | 2018-07-31 | 2018-08-31 | 31 | 82.38 | 82.67 | 0.35 |
| [257,] | IEF | 100 | 2018-08-31 | 2018-09-28 | 28 | 101.56 | 100.33 | -1.21 |
| [258,] | SHY | 100 | 2018-09-28 | 2018-10-31 | 33 | 82.55 | 82.67 | 0.15 |
| [259,] | SHY | 100 | 2018-10-31 | 2018-11-30 | 30 | 82.67 | 82.99 | 0.38 |
| [260,] | SHY | 100 | 2018-11-30 | 2018-12-31 | 31 | 82.99 | 83.62 | 0.76 |
| [261,] | IEF | 100 | 2018-12-31 | 2019-01-04 | 4 | 104.2 | 104.4 | 0.19 |
Now try the DAA canary universe
## Warning in prices1[trade] <- iif(is.na(execution.price[trade]),
## prices1[trade], : number of items to replace is not a multiple of
## replacement length## Latest weights :
## VOO VEA BND VWO LQD TLT SHY IEF
## 2019-01-04 0 0 0 0 0 0 0 100
##
## Performance summary :
## CAGR Best Worst
## 16.2 17.9 -9 | System | Trade | Period | |||
|---|---|---|---|---|---|
| Period | Apr1996 - Jan2019 | Win.Percent | 69.3 | Win.Percent.Day | 66.1 |
| Cagr | 16.24 | Avg.Trade | 1.4 | Best.Day | 17.9 |
| Sharpe | 1.2 | Avg.Win | 3 | Worst.Day | -9 |
| DVR | 1.11 | Avg.Loss | -2.2 | Win.Percent.Month | 66.1 |
| Volatility | 13.22 | Best.Trade | 17.89 | Best.Month | 17.9 |
| MaxDD | -20.14 | Worst.Trade | -9.02 | Worst.Month | -9 |
| AvgDD | -3.6 | WinLoss.Ratio | 1.36 | Win.Percent.Year | 87.5 |
| VaR | -3.68 | Avg.Len | 1 | Best.Year | 60.3 |
| CVaR | -6.94 | Num.Trades | 261 | Worst.Year | -5.9 |
| Exposure | 95.26 | ||||
| Roll.TwelveM | 92.72030651341 |
## Jan Feb Mar Apr May Jun Jul Aug
## 1996 " NA" " NA" " NA" " NA" " 0.0" " 0.0" " 0.0" " 0.0"
## 1997 " 0.0" " 0.0" " 0.0" " 0.0" " 1.0" " 4.5" " 8.0" " -5.6"
## 1998 " 1.2" " -0.3" " 5.1" " 1.0" " -1.7" " 1.4" " -0.7" " 3.2"
## 1999 " 4.2" " -3.7" " 0.7" " 15.4" " -4.2" " 0.2" " 0.1" " 0.1"
## 2000 " -0.2" " 0.8" " -1.0" " -3.0" " 0.3" " 1.3" " 0.9" " 1.5"
## 2001 " 1.3" " -8.7" " -0.1" " -1.2" " 1.6" " 0.5" " 3.9" " 1.8"
## 2002 " 2.9" " 2.7" " 4.5" " 1.6" " -0.4" " -8.2" " 2.4" " 2.5"
## 2003 " -0.8" " 1.4" " -0.4" " 2.4" " 6.2" " 5.9" " 7.0" " 0.0"
## 2004 " 3.1" " 4.2" " 0.4" " -7.9" " 0.0" " 0.0" " 0.3" " 3.1"
## 2005 " -0.1" " 8.9" " -6.8" " 0.5" " 1.1" " 3.5" " 7.0" " 1.5"
## 2006 " 11.6" " -2.1" " 1.2" " 0.2" " 0.2" " 0.2" " 0.7" " 2.5"
## 2007 " 0.1" " -2.3" " 2.8" " 3.8" " 3.1" " 0.5" " 0.9" " 0.0"
## 2008 " -9.0" " 1.2" " -3.7" " -2.4" " 1.8" " 0.2" " 0.7" " 1.5"
## 2009 " -1.8" " -5.2" " 3.3" " 17.4" " 17.9" " -2.5" " 10.9" " -0.7"
## 2010 " 1.2" " 0.3" " 8.2" " -0.2" " -8.0" " 3.0" " 0.9" " -2.6"
## 2011 " 0.1" " 3.5" " -2.5" " 3.4" " -2.7" " -1.7" " -2.4" " 4.7"
## 2012 " 2.1" " 5.4" " 3.3" " -0.6" " 2.9" " -0.4" " 1.2" " -0.1"
## 2013 " -1.3" " 0.1" " 3.6" " 1.5" " -3.0" " -0.1" " 0.2" " -0.1"
## 2014 " 1.9" " 1.1" " -0.4" " 0.7" " 2.3" " 3.2" " 1.4" " 3.8"
## 2015 " 4.3" " -2.5" " 0.2" " -0.6" " 0.0" " 0.0" " 0.0" " 0.1"
## 2016 " 0.7" " 1.5" " -0.1" " 1.0" " -3.2" " 3.1" " 5.1" " 0.8"
## 2017 " 0.1" " 0.0" " 0.1" " 0.2" " 3.4" " 0.6" " 2.9" " 3.0"
## 2018 " 8.6" " -0.1" " 0.2" " -2.8" " 0.4" " 0.2" " -0.1" " 0.0"
## 2019 " 0.2" " NA" " NA" " NA" " NA" " NA" " NA" " NA"
## Avg " 1.3" " 0.3" " 0.9" " 1.4" " 0.8" " 0.7" " 2.2" " 0.9"
## Sep Oct Nov Dec Year MaxDD
## 1996 " 0.0" " 0.0" " 0.0" " 0.0" " 0.0" " 0.0"
## 1997 " 0.8" " -3.4" " 0.7" " 1.7" " 7.1" " -8.1"
## 1998 " 3.6" " -0.8" " 6.1" " 5.8" " 26.2" " -1.7"
## 1999 " 0.8" " 3.7" " 2.0" " 14.3" " 37.0" " -4.2"
## 2000 " -5.3" " 0.9" " 2.2" " 2.4" " 0.4" " -5.4"
## 2001 " -0.9" " 2.2" " -2.2" " 7.8" " 5.2" " -9.9"
## 2002 " 3.9" " -1.3" " 6.2" " -2.6" " 14.0" " -8.6"
## 2003 " 4.5" " 9.1" " 1.1" " 7.8" " 53.2" " -0.8"
## 2004 " 5.6" " 2.3" " 10.2" " 5.3" " 28.7" " -7.9"
## 2005 " 8.2" " -0.1" " 0.4" " 6.5" " 33.7" " -6.8"
## 2006 " 0.2" " 3.3" " 7.3" " 4.0" " 32.6" " -2.1"
## 2007 " 9.8" " 13.0" " -8.5" " 0.8" " 24.8" " -8.5"
## 2008 " -0.1" " 1.1" " 1.1" " 5.2" " -3.0" "-13.4"
## 2009 " 3.9" " -2.4" " 7.2" " 3.1" " 60.3" " -6.9"
## 2010 " 0.0" " 3.1" " -2.8" " 6.9" " 9.5" " -8.2"
## 2011 " 2.2" " -1.3" " -0.3" " 2.0" " 4.7" " -6.6"
## 2012 " 1.1" " -0.6" " 2.7" " 4.2" " 23.3" " -0.6"
## 2013 " 0.2" " 3.2" " 3.0" " 0.2" " 7.6" " -3.1"
## 2014 " -7.2" " 0.3" " 2.8" " 0.1" " 10.0" " -7.2"
## 2015 " 1.6" " -0.6" " -0.2" " -1.1" " 1.2" " -3.0"
## 2016 " 2.0" " 0.3" " -0.5" " 0.1" " 11.1" " -3.2"
## 2017 " -0.5" " 1.8" " -0.3" " 1.3" " 13.3" " -0.5"
## 2018 " -1.2" " -2.0" " 0.4" " -8.8" " -5.9" "-13.5"
## 2019 " NA" " NA" " NA" " NA" " 0.2" " 0.0"
## Avg " 1.5" " 1.4" " 1.7" " 2.9" " 16.5" " -5.4"| symbol | weight | entry.date | exit.date | nhold | entry.price | exit.price | return | |
|---|---|---|---|---|---|---|---|---|
| [238,] | SHY | 100 | 2017-01-31 | 2017-02-28 | 28 | 82.29 | 82.32 | 0.04 |
| [239,] | VOO | 100 | 2017-02-28 | 2017-03-31 | 31 | 208.93 | 209.21 | 0.13 |
| [240,] | SHY | 100 | 2017-03-31 | 2017-04-28 | 28 | 82.37 | 82.52 | 0.19 |
| [241,] | VEA | 100 | 2017-04-28 | 2017-05-31 | 33 | 37.99 | 39.28 | 3.41 |
| [242,] | VEA | 100 | 2017-05-31 | 2017-06-30 | 30 | 39.28 | 39.53 | 0.64 |
| [243,] | VEA | 100 | 2017-06-30 | 2017-07-31 | 31 | 39.53 | 40.67 | 2.88 |
| [244,] | VWO | 100 | 2017-07-31 | 2017-08-31 | 31 | 41.19 | 42.43 | 3 |
| [245,] | VWO | 100 | 2017-08-31 | 2017-09-29 | 29 | 42.43 | 42.22 | -0.5 |
| [246,] | VEA | 100 | 2017-09-29 | 2017-10-31 | 32 | 41.7 | 42.44 | 1.77 |
| [247,] | VWO | 100 | 2017-10-31 | 2017-11-30 | 30 | 43.25 | 43.1 | -0.34 |
| [248,] | VOO | 100 | 2017-11-30 | 2017-12-29 | 29 | 237.59 | 240.64 | 1.28 |
| [249,] | VWO | 100 | 2017-12-29 | 2018-01-31 | 33 | 44.7 | 48.52 | 8.56 |
| [250,] | SHY | 100 | 2018-01-31 | 2018-02-28 | 28 | 82.18 | 82.1 | -0.1 |
| [251,] | SHY | 100 | 2018-02-28 | 2018-03-29 | 29 | 82.1 | 82.3 | 0.25 |
| [252,] | VWO | 100 | 2018-03-29 | 2018-04-30 | 32 | 45.83 | 44.56 | -2.77 |
| [253,] | SHY | 100 | 2018-04-30 | 2018-05-31 | 31 | 82.11 | 82.39 | 0.35 |
| [254,] | IEF | 100 | 2018-05-31 | 2018-06-29 | 29 | 100.87 | 101.07 | 0.2 |
| [255,] | SHY | 100 | 2018-06-29 | 2018-07-31 | 32 | 82.43 | 82.38 | -0.06 |
| [256,] | LQD | 100 | 2018-07-31 | 2018-08-31 | 31 | 113.62 | 113.64 | 0.02 |
| [257,] | IEF | 100 | 2018-08-31 | 2018-09-28 | 28 | 101.56 | 100.33 | -1.21 |
| [258,] | LQD | 100 | 2018-09-28 | 2018-10-31 | 33 | 113.48 | 111.16 | -2.05 |
| [259,] | SHY | 100 | 2018-10-31 | 2018-11-30 | 30 | 82.67 | 82.99 | 0.38 |
| [260,] | VOO | 100 | 2018-11-30 | 2018-12-31 | 31 | 252.12 | 229.81 | -8.85 |
| [261,] | IEF | 100 | 2018-12-31 | 2019-01-04 | 4 | 104.2 | 104.4 | 0.19 |
Now try with just a two asset safe portfolio
## Warning in prices1[trade] <- iif(is.na(execution.price[trade]),
## prices1[trade], : number of items to replace is not a multiple of
## replacement length## Latest weights :
## VOO VEA BND VWO LQD TLT SHY IEF
## 2019-01-04 0 0 0 0 0 0 0 100
##
## Performance summary :
## CAGR Best Worst
## 16 17.9 -9 | System | Trade | Period | |||
|---|---|---|---|---|---|
| Period | Apr1996 - Jan2019 | Win.Percent | 70.5 | Win.Percent.Day | 67.2 |
| Cagr | 16 | Avg.Trade | 1.4 | Best.Day | 17.9 |
| Sharpe | 1.2 | Avg.Win | 2.9 | Worst.Day | -9 |
| DVR | 1.1 | Avg.Loss | -2.2 | Win.Percent.Month | 67.2 |
| Volatility | 13.11 | Best.Trade | 17.89 | Best.Month | 17.9 |
| MaxDD | -20.14 | Worst.Trade | -9.02 | Worst.Month | -9 |
| AvgDD | -3.58 | WinLoss.Ratio | 1.31 | Win.Percent.Year | 87.5 |
| VaR | -3.46 | Avg.Len | 1 | Best.Year | 64.3 |
| CVaR | -6.84 | Num.Trades | 261 | Worst.Year | -3.5 |
| Exposure | 95.26 | ||||
| Roll.TwelveM | 93.4865900383142 |
## Jan Feb Mar Apr May Jun Jul Aug
## 1996 " NA" " NA" " NA" " NA" " 0.0" " 0.0" " 0.0" " 0.0"
## 1997 " 0.0" " 0.0" " 0.0" " 0.0" " 0.8" " 4.5" " 8.0" " -5.6"
## 1998 " 1.7" " -0.4" " 5.1" " 1.0" " -1.7" " 1.0" " 0.2" " 3.2"
## 1999 " 4.2" " -3.1" " 0.7" " 15.4" " -4.2" " 0.2" " 0.1" " 0.1"
## 2000 " -0.2" " 0.8" " -1.0" " -3.0" " 0.3" " 1.3" " 0.9" " 1.6"
## 2001 " 1.3" " -8.7" " 0.5" " -1.2" " 1.6" " 0.5" " 1.4" " 1.1"
## 2002 " 2.9" " 2.7" " 4.5" " 1.6" " -0.4" " -8.2" " 2.4" " 2.5"
## 2003 " -0.8" " 1.4" " -0.4" " 0.1" " 6.2" " 5.9" " 7.0" " 0.0"
## 2004 " 3.1" " 4.2" " 0.4" " -7.9" " 0.0" " 0.0" " 0.3" " 2.8"
## 2005 " -0.1" " 8.9" " -6.8" " 0.5" " 1.1" " 3.5" " 7.0" " 0.7"
## 2006 " 11.6" " -2.1" " 1.2" " 0.2" " 0.2" " 0.2" " 0.7" " 2.5"
## 2007 " 0.1" " -2.3" " 2.8" " 3.8" " 3.1" " 0.5" " 0.9" " 0.0"
## 2008 " -9.0" " 1.2" " -3.7" " -2.4" " 1.8" " 0.2" " 0.7" " 1.5"
## 2009 " -3.9" " -0.7" " 3.3" " 17.4" " 17.9" " -2.5" " 10.9" " -0.7"
## 2010 " 0.8" " 0.3" " 8.2" " -0.2" " -8.0" " 3.0" " 0.9" " -2.6"
## 2011 " 0.1" " 3.5" " -2.5" " 3.4" " -2.7" " -1.7" " -2.4" " 4.7"
## 2012 " 0.9" " 5.4" " 3.3" " -0.6" " 2.9" " -0.4" " 1.2" " -0.1"
## 2013 " 0.0" " 0.1" " 3.6" " 1.5" " -3.0" " -0.1" " 0.2" " -0.1"
## 2014 " 0.2" " 0.4" " -0.4" " 0.7" " 2.3" " 3.2" " 1.4" " 3.8"
## 2015 " 4.3" " -2.5" " 0.2" " -0.6" " 0.0" " 0.0" " 0.0" " 0.1"
## 2016 " 0.7" " 1.5" " -0.1" " 1.0" " -3.2" " 3.1" " 5.1" " 0.8"
## 2017 " 0.1" " 0.0" " 0.1" " 0.2" " 3.4" " 0.6" " 2.9" " 3.0"
## 2018 " 8.6" " -0.1" " 0.2" " -2.8" " 0.4" " 0.2" " -0.1" " 0.3"
## 2019 " 0.2" " NA" " NA" " NA" " NA" " NA" " NA" " NA"
## Avg " 1.2" " 0.5" " 0.9" " 1.3" " 0.8" " 0.7" " 2.2" " 0.9"
## Sep Oct Nov Dec Year MaxDD
## 1996 " 0.0" " 0.0" " 0.0" " 0.0" " 0.0" " 0.0"
## 1997 " 0.8" " -3.4" " 0.3" " 1.1" " 6.0" " -8.1"
## 1998 " 3.6" " -0.8" " 6.1" " 5.8" " 27.4" " -1.7"
## 1999 " 0.8" " 3.7" " 2.0" " 14.3" " 37.9" " -4.2"
## 2000 " -5.3" " 0.9" " 2.2" " 2.4" " 0.6" " -5.3"
## 2001 " 2.4" " 2.2" " -2.3" " 7.8" " 6.1" " -9.3"
## 2002 " 3.9" " -1.3" " 6.2" " -2.6" " 14.0" " -8.6"
## 2003 " 1.0" " 9.1" " 1.1" " 7.8" " 44.8" " -0.8"
## 2004 " 5.6" " 2.3" " 10.2" " 5.3" " 28.4" " -7.9"
## 2005 " 8.2" " -0.1" " 0.4" " 6.5" " 32.6" " -6.8"
## 2006 " 0.2" " 3.3" " 7.3" " 4.0" " 32.6" " -2.1"
## 2007 " 9.8" " 13.0" " -8.5" " 0.8" " 24.8" " -8.5"
## 2008 " -0.1" " 1.1" " 1.1" " 5.2" " -3.0" "-13.4"
## 2009 " 3.9" " -2.4" " 7.2" " 3.1" " 64.3" " -4.6"
## 2010 " 0.0" " 3.1" " -2.8" " 6.9" " 9.0" " -8.2"
## 2011 " 2.2" " -1.3" " -0.3" " 2.0" " 4.7" " -6.6"
## 2012 " -0.3" " -0.6" " 2.7" " 4.2" " 19.9" " -1.0"
## 2013 " 0.2" " 3.2" " 3.0" " -0.2" " 8.6" " -3.1"
## 2014 " -7.2" " 0.3" " 2.8" " 0.1" " 7.4" " -7.2"
## 2015 " 1.6" " -0.6" " -0.4" " -0.5" " 1.6" " -2.8"
## 2016 " 2.0" " 0.3" " -0.5" " 0.1" " 11.1" " -3.2"
## 2017 " -0.5" " 1.8" " -0.3" " 1.3" " 13.3" " -0.5"
## 2018 " -1.2" " 0.2" " 0.4" " -8.8" " -3.5" "-11.2"
## 2019 " NA" " NA" " NA" " NA" " 0.2" " 0.0"
## Avg " 1.4" " 1.5" " 1.6" " 2.9" " 16.2" " -5.2"| symbol | weight | entry.date | exit.date | nhold | entry.price | exit.price | return | |
|---|---|---|---|---|---|---|---|---|
| [238,] | SHY | 100 | 2017-01-31 | 2017-02-28 | 28 | 82.29 | 82.32 | 0.04 |
| [239,] | VOO | 100 | 2017-02-28 | 2017-03-31 | 31 | 208.93 | 209.21 | 0.13 |
| [240,] | SHY | 100 | 2017-03-31 | 2017-04-28 | 28 | 82.37 | 82.52 | 0.19 |
| [241,] | VEA | 100 | 2017-04-28 | 2017-05-31 | 33 | 37.99 | 39.28 | 3.41 |
| [242,] | VEA | 100 | 2017-05-31 | 2017-06-30 | 30 | 39.28 | 39.53 | 0.64 |
| [243,] | VEA | 100 | 2017-06-30 | 2017-07-31 | 31 | 39.53 | 40.67 | 2.88 |
| [244,] | VWO | 100 | 2017-07-31 | 2017-08-31 | 31 | 41.19 | 42.43 | 3 |
| [245,] | VWO | 100 | 2017-08-31 | 2017-09-29 | 29 | 42.43 | 42.22 | -0.5 |
| [246,] | VEA | 100 | 2017-09-29 | 2017-10-31 | 32 | 41.7 | 42.44 | 1.77 |
| [247,] | VWO | 100 | 2017-10-31 | 2017-11-30 | 30 | 43.25 | 43.1 | -0.34 |
| [248,] | VOO | 100 | 2017-11-30 | 2017-12-29 | 29 | 237.59 | 240.64 | 1.28 |
| [249,] | VWO | 100 | 2017-12-29 | 2018-01-31 | 33 | 44.7 | 48.52 | 8.56 |
| [250,] | SHY | 100 | 2018-01-31 | 2018-02-28 | 28 | 82.18 | 82.1 | -0.1 |
| [251,] | SHY | 100 | 2018-02-28 | 2018-03-29 | 29 | 82.1 | 82.3 | 0.25 |
| [252,] | VWO | 100 | 2018-03-29 | 2018-04-30 | 32 | 45.83 | 44.56 | -2.77 |
| [253,] | SHY | 100 | 2018-04-30 | 2018-05-31 | 31 | 82.11 | 82.39 | 0.35 |
| [254,] | IEF | 100 | 2018-05-31 | 2018-06-29 | 29 | 100.87 | 101.07 | 0.2 |
| [255,] | SHY | 100 | 2018-06-29 | 2018-07-31 | 32 | 82.43 | 82.38 | -0.06 |
| [256,] | SHY | 100 | 2018-07-31 | 2018-08-31 | 31 | 82.38 | 82.67 | 0.35 |
| [257,] | IEF | 100 | 2018-08-31 | 2018-09-28 | 28 | 101.56 | 100.33 | -1.21 |
| [258,] | SHY | 100 | 2018-09-28 | 2018-10-31 | 33 | 82.55 | 82.67 | 0.15 |
| [259,] | SHY | 100 | 2018-10-31 | 2018-11-30 | 30 | 82.67 | 82.99 | 0.38 |
| [260,] | VOO | 100 | 2018-11-30 | 2018-12-31 | 31 | 252.12 | 229.81 | -8.85 |
| [261,] | IEF | 100 | 2018-12-31 | 2019-01-04 | 4 | 104.2 | 104.4 | 0.19 |
…and using T3 like in the paper
## Warning in prices1[trade] <- iif(is.na(execution.price[trade]),
## prices1[trade], : number of items to replace is not a multiple of
## replacement length## Latest weights :
## VOO VEA BND VWO LQD TLT SHY IEF
## 2019-01-04 0 0 0 0 0 0 0 100
##
## Performance summary :
## CAGR Best Worst
## 12.5 12.2 -9.8 | System | Trade | Period | |||
|---|---|---|---|---|---|
| Period | Apr1996 - Jan2019 | Win.Percent | 70.4 | Win.Percent.Day | 67.2 |
| Cagr | 12.47 | Avg.Trade | 0.5 | Best.Day | 12.2 |
| Sharpe | 1.28 | Avg.Win | 1.2 | Worst.Day | -9.8 |
| DVR | 1.16 | Avg.Loss | -1 | Win.Percent.Month | 67.2 |
| Volatility | 9.56 | Best.Trade | 5.96 | Best.Month | 12.2 |
| MaxDD | -12.64 | Worst.Trade | -5.03 | Worst.Month | -9.8 |
| AvgDD | -2.95 | WinLoss.Ratio | 1.18 | Win.Percent.Year | 87.5 |
| VaR | -3.57 | Avg.Len | 1 | Best.Year | 49.2 |
| CVaR | -4.89 | Num.Trades | 533 | Worst.Year | -2.8 |
| Exposure | 95.26 | ||||
| Roll.TwelveM | 90.0383141762452 |
## Jan Feb Mar Apr May Jun Jul Aug
## 1996 " NA" " NA" " NA" " NA" " 0.0" " 0.0" " 0.0" " 0.0"
## 1997 " 0.0" " 0.0" " 0.0" " 0.0" " 0.8" " 4.6" " 3.7" " -9.8"
## 1998 " 1.7" " -0.4" " 4.0" " 0.7" " -5.3" " 1.0" " 0.2" " 3.2"
## 1999 " 1.5" " -3.1" " 0.7" " 8.1" " -3.8" " 0.2" " 0.1" " 0.1"
## 2000 " -0.2" " 0.8" " 1.3" " -5.3" " 0.3" " 1.3" " -2.9" " 1.6"
## 2001 " 1.3" " -5.6" " 0.5" " -1.2" " -0.4" " -1.4" " 1.4" " 1.1"
## 2002 " -1.1" " 0.5" " 2.9" " 1.6" " 0.5" " -4.1" " 2.4" " 2.5"
## 2003 " -0.8" " -1.4" " -0.4" " 0.1" " 5.9" " 3.3" " 4.0" " 0.0"
## 2004 " 2.2" " 2.7" " -0.2" " -4.2" " 0.0" " 0.0" " 0.3" " 2.8"
## 2005 " -1.4" " 4.3" " -3.8" " 0.5" " 1.3" " 1.4" " 3.2" " 0.7"
## 2006 " 7.0" " -0.9" " 1.9" " 0.2" " 0.2" " 0.2" " 0.7" " 2.2"
## 2007 " 0.8" " -1.4" " 2.4" " 4.0" " 4.4" " 0.5" " 0.9" " 0.5"
## 2008 " -4.6" " 1.2" " -1.0" " -2.4" " 1.4" " 0.2" " 0.7" " 1.5"
## 2009 " -3.9" " -0.7" " 3.3" " 9.2" " 12.2" " -1.4" " 9.7" " 2.5"
## 2010 " 0.8" " 1.8" " 6.8" " -0.5" " -5.3" " 3.0" " 0.9" " -3.6"
## 2011 " 0.1" " 2.3" " 1.0" " 4.2" " -2.3" " -1.3" " -1.7" " 4.7"
## 2012 " 0.9" " 4.9" " 0.3" " -1.7" " 2.9" " -0.4" " 0.9" " -0.1"
## 2013 " 0.0" " 0.1" " 1.2" " 1.5" " -1.9" " -0.1" " 0.2" " -0.1"
## 2014 " 0.2" " 0.4" " 1.7" " 1.1" " 2.4" " 2.1" " -0.8" " 3.0"
## 2015 " 4.3" " -2.5" " 0.2" " -0.6" " 0.0" " 0.0" " 0.0" " 0.1"
## 2016 " 0.7" " 1.5" " -0.1" " 1.2" " -0.6" " 3.1" " 3.1" " 0.4"
## 2017 " 0.1" " 0.0" " 2.0" " 0.2" " 1.9" " 0.7" " 3.4" " 1.1"
## 2018 " 6.3" " -0.1" " 0.2" " -0.8" " 0.4" " 0.2" " -0.1" " 0.3"
## 2019 " 0.2" " NA" " NA" " NA" " NA" " NA" " NA" " NA"
## Avg " 0.7" " 0.2" " 1.1" " 0.7" " 0.7" " 0.6" " 1.3" " 0.6"
## Sep Oct Nov Dec Year MaxDD
## 1996 " 0.0" " 0.0" " 0.0" " 0.0" " 0.0" " 0.0"
## 1997 " 0.8" " -3.7" " 0.3" " 1.1" " -2.8" "-12.4"
## 1998 " 3.6" " -0.8" " 5.9" " 2.0" " 16.6" " -5.3"
## 1999 " 0.8" " 2.6" " 4.7" " 9.9" " 23.2" " -3.8"
## 2000 " -3.6" " 0.9" " 2.2" " 2.4" " -1.6" " -8.4"
## 2001 " 2.4" " 2.2" " -2.3" " 2.7" " 0.4" " -7.9"
## 2002 " 3.9" " -1.3" " 4.1" " -2.2" " 10.0" " -4.1"
## 2003 " 1.0" " 7.1" " 1.4" " 6.9" " 30.0" " -2.5"
## 2004 " 2.9" " 2.1" " 7.1" " 4.4" " 21.5" " -4.4"
## 2005 " 4.0" " -0.1" " 0.4" " 3.9" " 15.0" " -3.8"
## 2006 " 1.3" " 4.1" " 4.3" " 2.8" " 26.5" " -0.9"
## 2007 " 5.1" " 6.3" " -5.5" " -1.0" " 17.7" " -6.4"
## 2008 " -0.1" " 1.1" " 1.1" " 5.2" " 4.2" " -6.7"
## 2009 " 5.9" " -2.4" " 5.8" " 2.0" " 49.2" " -4.6"
## 2010 " 7.0" " 3.6" " -2.6" " 7.6" " 20.4" " -5.8"
## 2011 " 2.2" " -1.3" " -1.4" " 2.0" " 8.6" " -5.2"
## 2012 " -0.3" " -0.5" " 1.3" " 4.1" " 12.7" " -1.7"
## 2013 " 0.2" " 4.0" " 0.9" " -0.2" " 5.8" " -2.0"
## 2014 " -3.0" " 0.3" " 0.8" " 0.1" " 8.4" " -3.0"
## 2015 " 1.6" " -0.6" " -0.4" " -0.5" " 1.6" " -2.8"
## 2016 " 1.2" " -1.3" " -0.5" " 0.1" " 9.2" " -1.8"
## 2017 " 1.4" " 2.2" " 1.2" " 2.2" " 17.7" " 0.0"
## 2018 " -1.2" " 0.2" " 0.4" " -3.4" " 2.1" " -4.1"
## 2019 " NA" " NA" " NA" " NA" " 0.2" " 0.0"
## Avg " 1.6" " 1.1" " 1.3" " 2.3" " 12.4" " -4.1"
Try adding TLT back in lets use the T2 B1
## Warning in prices1[trade] <- iif(is.na(execution.price[trade]),
## prices1[trade], : number of items to replace is not a multiple of
## replacement length## Latest weights :
## VOO VEA BND VWO LQD TLT SHY IEF
## 2019-01-04 0 0 0 0 0 100 0 0
##
## Performance summary :
## CAGR Best Worst
## 14.7 15.5 -13.1 | System | Trade | Period | |||
|---|---|---|---|---|---|
| Period | Apr1996 - Jan2019 | Win.Percent | 69.5 | Win.Percent.Day | 66.1 |
| Cagr | 14.71 | Avg.Trade | 0.9 | Best.Day | 15.5 |
| Sharpe | 1.2 | Avg.Win | 2 | Worst.Day | -13.1 |
| DVR | 1.07 | Avg.Loss | -1.6 | Win.Percent.Month | 66.1 |
| Volatility | 12.06 | Best.Trade | 13.65 | Best.Month | 15.5 |
| MaxDD | -13.71 | Worst.Trade | -13.07 | Worst.Month | -13.1 |
| AvgDD | -4.06 | WinLoss.Ratio | 1.24 | Win.Percent.Year | 91.7 |
| VaR | -3.99 | Avg.Len | 1 | Best.Year | 39.7 |
| CVaR | -6.07 | Num.Trades | 374 | Worst.Year | -0.9 |
| Exposure | 95.26 | ||||
| Roll.TwelveM | 95.7854406130268 |
## Jan Feb Mar Apr May Jun Jul Aug
## 1996 " NA" " NA" " NA" " NA" " 0.0" " 0.0" " 0.0" " 0.0"
## 1997 " 0.0" " 0.0" " 0.0" " 0.0" " 1.0" " 4.9" " 4.8" " -7.1"
## 1998 " 1.9" " -0.7" " 4.2" " 0.8" " -1.6" " 2.4" " -0.5" " 4.8"
## 1999 " 1.8" " -4.8" " 0.7" " 9.6" " -4.6" " 0.2" " 0.1" " 0.1"
## 2000 " -0.2" " 3.0" " 3.1" " -4.2" " -0.4" " 1.3" " -1.8" " 2.1"
## 2001 " 0.3" " 1.3" " -0.6" " -1.2" " -1.0" " 0.3" " 1.4" " 2.0"
## 2002 " 0.7" " 0.7" " -2.3" " 1.6" " 0.4" " 1.7" " 2.7" " 2.5"
## 2003 " -0.6" " 3.1" " -1.4" " 0.1" " 5.7" " 4.3" " 5.1" " 0.0"
## 2004 " 2.4" " 3.3" " 0.4" " -5.5" " 0.0" " 0.0" " 0.3" " 4.2"
## 2005 " -0.9" " 6.8" " -4.9" " 3.9" " 3.1" " 1.8" " 3.0" " 0.7"
## 2006 " 9.2" " -1.4" " 2.2" " 0.2" " 0.2" " 0.2" " 0.7" " 2.1"
## 2007 " 0.5" " -1.1" " 1.4" " 3.9" " 4.9" " 0.5" " 0.9" " 1.8"
## 2008 " 2.1" " 1.2" " 1.3" " -2.4" " 1.5" " 0.2" " -0.4" " 1.5"
## 2009 "-13.1" " -0.7" " 3.3" " -2.7" " 15.5" " -2.1" " 10.7" " 1.9"
## 2010 " 0.8" " 0.3" " 7.1" " 0.7" " -8.6" " 5.8" " -0.9" " -3.1"
## 2011 " 0.1" " 3.6" " -1.2" " 3.2" " -2.8" " -1.3" " -2.2" " 9.7"
## 2012 " -0.3" " 4.9" " 0.4" " -1.5" " 9.0" " -1.7" " 0.7" " -1.3"
## 2013 " 0.0" " 0.1" " 2.4" " 1.5" " -0.3" " -0.1" " 0.2" " -0.1"
## 2014 " 0.2" " 0.5" " 0.3" " 0.8" " 2.0" " 2.6" " 0.0" " 3.9"
## 2015 " 9.8" " -6.1" " 0.2" " -3.4" " 0.0" " 0.0" " 0.0" " -0.7"
## 2016 " 5.6" " 3.1" " -0.1" " 0.7" " -1.8" " 6.9" " 2.1" " 0.5"
## 2017 " 0.1" " 0.0" " 1.5" " 0.2" " 2.2" " 0.7" " 4.1" " 1.5"
## 2018 " 7.1" " -0.1" " 0.2" " -2.1" " 0.4" " 0.6" " -1.4" " 0.3"
## 2019 " 0.5" " NA" " NA" " NA" " NA" " NA" " NA" " NA"
## Avg " 1.2" " 0.8" " 0.8" " 0.2" " 1.1" " 1.3" " 1.3" " 1.2"
## Sep Oct Nov Dec Year MaxDD
## 1996 " 0.0" " 0.0" " 0.0" " 0.0" " 0.0" " 0.0"
## 1997 " 0.8" " -6.2" " 1.3" " 1.7" " 0.4" "-12.2"
## 1998 " 3.3" " -1.7" " 5.7" " 1.4" " 21.3" " -1.7"
## 1999 " 0.8" " 0.3" " 3.0" " 11.9" " 19.5" " -4.8"
## 2000 " -2.3" " 0.9" " 3.0" " 2.5" " 6.8" " -5.3"
## 2001 " 0.9" " 2.2" " -5.1" " -0.3" " 0.2" " -5.3"
## 2002 " 4.3" " -3.7" " -2.1" " -4.4" " 1.6" " -9.9"
## 2003 " 1.0" " 7.8" " 1.6" " 7.8" " 39.7" " -1.4"
## 2004 " 2.9" " 2.8" " 8.7" " 4.9" " 26.3" " -5.5"
## 2005 " 6.5" " -0.1" " 0.4" " 5.8" " 28.6" " -4.9"
## 2006 " 0.7" " 4.2" " 5.5" " 3.6" " 30.3" " -1.4"
## 2007 " 7.3" " 8.7" " -6.1" " -0.6" " 23.3" " -6.7"
## 2008 " 1.5" " -1.9" " 1.1" " 13.7" " 20.4" " -2.4"
## 2009 " 3.8" " -2.6" " 5.6" " 2.5" " 21.1" "-13.7"
## 2010 " -2.5" " 3.6" " -3.9" " 7.2" " 5.4" " -9.9"
## 2011 " 13.2" " -3.8" " -1.0" " 3.4" " 21.1" " -6.3"
## 2012 " -2.5" " -1.3" " 2.0" " 5.7" " 14.2" " -5.9"
## 2013 " 0.2" " 3.8" " 1.8" " -0.2" " 9.7" " -0.4"
## 2014 " -4.3" " 2.8" " 3.0" " 3.3" " 15.9" " -4.3"
## 2015 " 1.6" " -0.4" " -0.9" " -0.5" " -0.9" " -9.8"
## 2016 " 1.0" " -1.0" " -0.5" " 0.1" " 17.4" " -1.8"
## 2017 " 1.0" " 2.1" " 1.4" " 1.5" " 17.5" " 0.0"
## 2018 " -2.9" " 0.2" " 0.4" " 2.8" " 5.3" " -5.0"
## 2019 " NA" " NA" " NA" " NA" " 0.5" " 0.0"
## Avg " 1.6" " 0.7" " 1.1" " 3.2" " 14.4" " -4.9"
Compare all portfolios
| vaa.g4.t1.b1 | vaa.g4.t1.b1.l1 | vaa.g4.t2.b1 | vaa.g4.t3.b1 | vaa.g4.t1.b1.m6 | daa.g4.t1.b1 | daa.g4.t1.b1.c2 | daa.g4.t3.b1.c2 | vaa.g4.t2.b1.tlt | |
|---|---|---|---|---|---|---|---|---|---|
| Period | Apr1996 - Jan2019 | Apr1996 - Jan2019 | Apr1996 - Jan2019 | Apr1996 - Jan2019 | Apr1996 - Jan2019 | Apr1996 - Jan2019 | Apr1996 - Jan2019 | Apr1996 - Jan2019 | Apr1996 - Jan2019 |
| Cagr | 16.58 | 33.95 | 13.93 | 12.73 | 15.13 | 16.24 | 16 | 12.47 | 14.71 |
| Sharpe | 1.35 | 1.35 | 1.32 | 1.34 | 1.26 | 1.2 | 1.2 | 1.28 | 1.2 |
| DVR | 1.25 | 1.08 | 1.23 | 1.24 | 1.17 | 1.11 | 1.1 | 1.16 | 1.07 |
| Volatility | 11.91 | 23.81 | 10.23 | 9.21 | 11.7 | 13.22 | 13.11 | 9.56 | 12.06 |
| MaxDD | -8.53 | -17.05 | -12.21 | -12.4 | -8.71 | -20.14 | -20.14 | -12.64 | -13.71 |
| AvgDD | -2.8 | -5.58 | -2.81 | -2.75 | -2.89 | -3.6 | -3.58 | -2.95 | -4.06 |
| VaR | -2.99 | -5.97 | -3.11 | -3.09 | -2.89 | -3.68 | -3.46 | -3.57 | -3.99 |
| CVaR | -5.36 | -10.73 | -5.13 | -4.71 | -5.52 | -6.94 | -6.84 | -4.89 | -6.07 |
| Exposure | 95.26 | 95.26 | 95.26 | 95.26 | 95.26 | 95.26 | 95.26 | 95.26 | 95.26 |